Macroeconomic determinants of international currencies:

• Autor(a) principal: Ribeiro, Gonçalo André Martins
• Data de Publicação: 2016
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10071/13924
• topic: Economia internacional; Moeda; Obrigação financeira; Macroeconomia; Procura de moeda; América; Europa; Asia; Africa; Oceania; International currencies; International bonds; SUR; Macroeconomic determinants of international currencies: bond shares after the internationalization of the Renminbi; Moedas Internacionais; Obrigações Internacionais; Determinantes macroeconómicas da procura internacional de moeda

This dissertation analyses the macroeconomic variables that determines the currencies’ shares in the international bond market, for the five currencies of the SDR Basket: CNY, EUR, GBP, JPY, and USD. We collect data for bond issuances at an international level and we use quarterly data between 2009Q3 and 2015Q4, in order to cover the period after the internationalization of the Renminbi (CNY) in the offshore bond markets. Additionally, based on the country of the parent company, we define three regions for each currency: (i) America; (ii) Europe and (iii) Asia, Oceania and Africa. We use a system-based model of Seemingly Unrelated Equations (SURE) and reject the hypotheses of independence of the errors across equations and parameters’ equality across equations. The results show that the share of international bonds is influenced by the size of the economy, by inflation rates and by the yield spread. Moreover, they suggest that the determinants do not present a homogenous pattern. The estimated coefficients differ not only between currencies but also between regions under the same currency. Our results indicate that the expansion of the Chinese economy is likely to support the internationalization of the currency across all regions and that the USD has a distinctive role that has not yet been achieved by any other currency